May 23, 2024 10:30 GMT
OI Suggests Short Setting Dominated Through The SOFR Greens On Wednesday
STIR
The combination of yesterday’s downtick in SOFR futures and preliminary OI data points to a mix of net short setting and long cover through the blues.
- Short setting dominated in the whites, reds and greens in net pack OI terms, with pockets or long cover seen in the whites and reds.
- The move came on the back of spill over from firmer-than-expected UK CPI data and digestion of the minutes covering the most recent FOMC decision.
- That leaves ~40bp of ’24 Fed cuts priced at typing.
22-May-24 | 21-May-24 | Daily OI Change | Daily OI Change In Packs | ||
SFRH4 | 937,472 | 936,413 | +1,059 | Whites | +22,630 |
SFRM4 | 1,229,160 | 1,249,759 | -20,599 | Reds | +17,556 |
SFRU4 | 1,125,564 | 1,113,251 | +12,313 | Greens | +30,268 |
SFRZ4 | 1,236,659 | 1,206,802 | +29,857 | Blues | +395 |
SFRH5 | 804,078 | 794,105 | +9,973 | ||
SFRM5 | 794,828 | 794,445 | +383 | ||
SFRU5 | 706,459 | 693,589 | +12,870 | ||
SFRZ5 | 817,784 | 823,454 | -5,670 | ||
SFRH6 | 551,702 | 540,874 | +10,828 | ||
SFRM6 | 536,056 | 525,935 | +10,121 | ||
SFRU6 | 432,541 | 424,359 | +8,182 | ||
SFRZ6 | 367,345 | 366,208 | +1,137 | ||
SFRH7 | 253,607 | 253,653 | -46 | ||
SFRM7 | 189,681 | 187,240 | +2,441 | ||
SFRU7 | 173,935 | 175,755 | -1,820 | ||
SFRZ7 | 161,178 | 161,358 | -180 |
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